I wanted the X Server to start automatically at login, so I copied the shortcut named "XWin Server" that was installed to the Start->Programs->Cygwin-X menu and pasted it into the Start->Programs->Startup menu. This shortcut launches Cygwin's
startxwin, which, in turn, launches the XWin server itself.
This works nicely, except for one annoyance:
startxwin, by default, launches an X terminal. This makes sense if you manually click the "XWin Server" shortcut, but not (in my opinion) when it's launched automatically. I wanted it to start silently.
I followed a few false trails before I bothered to Read The Fine Man-page. The solution is pretty simple: create an empty
.startxwinrcin my home directory:
$ touch ~/.startxwinrc